Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

DOI10.2202/1558-3708.1434MaRDI QIDQ5452763zbMATH OpenOpenAlexFDO

Authors Jun Ma, Charles R. Nelson, Richard Startz

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1773/15537

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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• GARCH based value-at-risk assessment when the observed process is iid
• Calibration of GARCH models using concurrent accelerated random search
• Flexible Fourier form for volatility breaks
• Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics
• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation

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